Tag: NIFTY

Options Daily 15.05.2019

NIFTY Summary:

  1. May 12000 calls added 1,92,300 contracts.
  2. May 11300 calls shed 5,59,950.
  3. May 11000 puts added 73,125.
  4. May 11400 puts shed 600.

Our trend model indicates a SHORT on the NIFTY and LONG on the BANKNIFTY.

Avg. True Range

NIFTY.50 NIFTY.BANK
3 152.72 410.99
5 141.51 409.39
10 129.18 414.68
20 119.22 413.70

NIFTY 50 NIFTY BANK
TrueRange 186.45 475.70
TrueHigh 11294.75 29058.30
TrueLow 11108.30 28582.60
Avg. True Range

NIFTY.50 NIFTY.BANK
3 152.72 410.99
5 141.51 409.39
10 129.18 414.68
20 119.22 413.70

NIFTY 50 NIFTY BANK
TrueRange 186.45 475.70
TrueHigh 11294.75 29058.30
TrueLow 11108.30 28582.60

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY BANKNIFTY Volatility chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

VIX kernel density plot

5-day forecast based on ARMA(3,2)+GARCH(1,1) model:

VIX 27.34 27.33 27.40 27.53 27.50
σ 0.72 0.73 0.73 0.73 0.74

Marketwide OI

market wide position limit chart

Options Daily 14.05.2019

NIFTY Summary:

  1. May 12000 calls added 56,475 contracts.
  2. May 11800 calls shed 2,51,625.
  3. May 10500 puts added 7,050.
  4. May 11400 puts shed 1,800.

Our trend model indicates a SHORT on the NIFTY and LONG on the BANKNIFTY.

Avg. True Range

NIFTY.50 NIFTY.BANK
3 135.86 378.64
5 130.32 392.94
10 123.32 409.50
20 116.72 413.69

NIFTY 50 NIFTY BANK
TrueRange 174.60 427.95
TrueHigh 11300.20 29049.05
TrueLow 11125.60 28621.10
Avg. True Range

NIFTY.50 NIFTY.BANK
3 135.86 378.64
5 130.32 392.94
10 123.32 409.50
20 116.72 413.69

NIFTY 50 NIFTY BANK
TrueRange 174.60 427.95
TrueHigh 11300.20 29049.05
TrueLow 11125.60 28621.10

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY BANKNIFTY Volatility chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

VIX kernel density plot

5-day forecast based on ARMA(2,3)+GARCH(1,1) model:

VIX 27.20 26.99 26.77 26.63 26.56
σ 1.05 1.04 1.03 1.02 1.01

Marketwide OI

market wide position limit chart

Options Daily 13.05.2019

NIFTY Summary:

  1. May 12000 calls added 52,425 contracts.
  2. May 12050 calls shed 600.
  3. May 11200 puts added 17,700.
  4. May 11400 puts shed 2,850.

Our trend model indicates a SHORT on the NIFTY and LONG on the BANKNIFTY.

Avg. True Range

NIFTY.50 NIFTY.BANK
3 116.49 353.98
5 119.29 384.28
10 117.93 408.09
20 114.35 414.41

NIFTY 50 NIFTY BANK
TrueRange 94.75 318.25
TrueHigh 11345.80 29202.85
TrueLow 11251.05 28884.60
Avg. True Range

NIFTY.50 NIFTY.BANK
3 116.49 353.98
5 119.29 384.28
10 117.93 408.09
20 114.35 414.41

NIFTY 50 NIFTY BANK
TrueRange 94.75 318.25
TrueHigh 11345.80 29202.85
TrueLow 11251.05 28884.60
Avg. True Range

NIFTY.50 NIFTY.BANK
3 116.49 353.98
5 119.29 384.28
10 117.93 408.09
20 114.35 414.41

NIFTY 50 NIFTY BANK
TrueRange 94.75 318.25
TrueHigh 11345.80 29202.85
TrueLow 11251.05 28884.60

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

NIFTY Weighted Avg. Open Interest

NIFTY Weighted Avg. Open Interest chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY BANKNIFTY Volatility chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

VIX kernel density plot

5-day forecast based on ARMA(2,3)+GARCH(1,1) model:

VIX 26.08 25.96 25.81 25.72 25.67
σ 0.98 0.97 0.96 0.95 0.95

Marketwide OI

Securities under ban today: JETAIRWAYS.
market wide position limit chart

Options Weekly 11.05.2019

Summary: May NIFTY 11500 calls added 20,67,675 contracts while 11900 calls shed 36,450. On the Put side of the equation, the 11000 strike added 11,85,000 while the 11500’s shed 3,08,550.

MAY NIFTY OI

MAY NIFTY OI chart

MAY BANKNIFTY OI

MAY BANKNIFTY OI chart

MAY NIFTY Volatility

MAY NIFTY Volatility chart

MAY BANKNIFTY Volatility

MAY BANKNIFTY Volatility chart
Dotted lines indicated actual underlying volatility. Solid lines are IVs.

VIX Density Plot

VIX kernel density plot

Nifty 50 Returns Density Plot

NIFTY 50 kernel density plot